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Identifying banking crises using money market pressure: New evidence for a large set of countries

journal contribution
posted on 2023-05-18, 05:14 authored by Jing, Z, de Hann, J, Jacobs, J, Yang, H
We construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to identify banking crises, thereby extending the index proposed by Von Hagen and Ho (2007), also in terms of the number of countries covered. We compare the crises identified by both indices with crises according to Laeven and Valencia. Both indices identify more crises than the Laeven–Valencia database. The crises identified by our index are more in line with the Laeven–Valencia crises than those identified by the Von Hagen–Ho index, while our index also gives fewer ‘false’ signals.

History

Publication title

Journal of Macroeconomics

Volume

43

Pagination

1-20

ISSN

0164-0704

Department/School

TSBE

Publisher

Elsevier BV

Place of publication

Netherlands

Rights statement

Copyright 2014 Elsevier

Repository Status

  • Restricted

Socio-economic Objectives

Macroeconomics not elsewhere classified

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